alias is a command provided by your shell. So it's not like most of the commands that have been already posted which are utilities that may be in your /usr/bin or /bin (see which and locate commands to find out where a given file is in your path)
I use zsh, which provides some interesting features regarding aliases. AFAIK, bash alias command lets you bind one word to any other command (even piped commands), so you can write your own kind of macros. Zsh's let you write partial aliases, so you can bind T to '|tail' and build complex commands from many aliases, and combine them with plain commands.
Here I paste the relevant part of my .zshrc
alias -g TL='| tail -20'
alias -g T='| tail'
alias -g tr='-ltr'
alias -g X='| xclip'
alias lsd='ls -d *(/)'
alias vimblog='vim ~/blog/`date +%F`.txt'
alias lst='ls -ltr'
alias ls='ls --color=auto'
alias sshuni='ssh firstname.lastname@example.org'
alias screenuni='screen -t sshuni -c ~/.screenrc2'
inside the expanded aliases, you can find many of my preferred commands (being used very often made me put them into aliases, to shorten them).
Drop a line if you want further info on those.